TÜRKİYE’DE DÖVİZ KURUNDAN FİYATLARA GEÇİŞKENLİK ETKİSİ: HATEMİ-J ASİMETRİK NEDENSELLİK TESTİ

Year 2019, Volume: 21 Issue: 1, 203 - 221, 30.06.2019

Muhammer Yetim , Rahmi Yamak

https://doi.org/10.26468/trakyasobed.466936

Cited By: 4

Abstract

Küreselleşme ile
birlikte, ülkeler arasındaki ticari engellerin ortadan kalkması sonucunda,
döviz kurlarında meydana gelen değişimler ulusal ekonomiler üzerindeki etkisini
daha da arttırmıştır. Döviz kurlarındaki dalgalanmaların, ulusal ekonomiler
üzerindeki etkilerinden bir tanesi de enflasyon üzerinde görülmektedir.
Literatürde, döviz kurundan fiyatlara geçişkenlik etkisinin belirlenmesine
yönelik çok sayıda ampirik çalışma bulunmaktadır. Sözkonusu çalışmalar,
kullandıkları nedensellik testleri kapsamında, değişkenlerde meydana gelen
pozitif ve negatif şok etkilerinin aynı olduğunu kabul etmektedir. Bu çalışmayı
literatürdeki diğer nedensellik çalışmalardan ayıran fark, değişkenlerde
meydana gelen pozitif ve negatif şokları birbirinden ayırarak, sözkonusu şoklar
arasındaki nedenselliğin incelenmiş olmasıdır. Mevcut çalışmada, Türkiye’de
döviz kurundan fiyatlara geçişkenlik etkisi Hatemi-J (2012) asimetrik
nedensellik testi yardımıyla incelenmiş olup, test sonucunda; %5 anlamlılık
seviyesinde, pozitif USD bileşeninden pozitif TÜFE bileşenine doğru, pozitif
EURO bileşeninden pozitif TÜFE bileşenine doğru ve ayrıca pozitif EURO
bileşeninden pozitif USD bileşenine tek yönlü asimetrik nedensellik ilişkileri
tespit edilmiştir. Ayrıca, Hatemi-J asimetrik
nedensellik testinden elde edilen sonuçlarla karşılaştırma yapmak amacıyla,
Toda-Yamamoto nedensellik testi de kullanılmıştır. Toda-Yamamoto
nedensellik testinden elde edilen bulgulara göre, Türkiye’de döviz kurundan
fiyatlara geçişkenlik etkisinin olmadığı tespit edilmiştir.

Keywords

Döviz Kuru, Geçişkenlik, Asimetrik Nedensellik Testi

EXCHANGE RATE PASS-THROUGH IN TURKEY: HATEMİ-J ASYMMETRIC CAUSALITY TEST

Abstract

Along with
globalization, as trade barriers among countries have been removed, changes in
exchange rates have further increased the impact on the domestic economies. One
of the effects of movements in exchange rates appears in inflation rate.  In the literature, there are many empirical
studies which have investigated the pass-through effects of the exchange rate
on domestic prices. The causality tests used within the scope of the studies
assume that the effects of the positive and negative shocks occurring in the
variables are the same. The difference
distinguishing this study from the other in the literature is that the
current study investigates the possible causality among the shocks by
separating the positive and negative shocks of the given variable.  In
this study, Hatemi-J (2012) asymmetric causality test was used to investigate
the exchange rate pass-through effect on the general price level in Turkey. At the end of the test; at the 5% significance level,
a one-way asymmetric causality relationship was found between the positive USD
component and the positive CPI component, the positive EURO component and the
positive CPI component and also the positive EURO component and the positive
USD component. Moreover, Toda-Yamamoto causality
test has been utilized in order to compare with the results from Hatemi-J
asymmetric causality test. According to findings of Toda-Yamamoto causality
test, there is no exchange rate pass-through to prices effect in Turkey.

Keywords

Exchange Rate, Pass-Through, Asymmetric Causality Test

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